If you're not used to Github it's actually easy to miss the downloads button. It's big, but it blends right into the background. Personally I'd colour it blue (it turns blue when you mouse over it) so it stood out more.
Once you've downloaded the file, put it in your arduino / libraries file, then restart the arduino ide software and load up the SSD1306 example sketch. It should compile & load to your arduino without any errors.